A western hero usually isn't married for several reasons. One, he lives dangerously. Two, he is normally presented as a kind of outsider, wandering the wilderness, which isn't the best conditions for having a bride. Three, a woman is usually representative of domestication, which the western hero avoids.
So Jack Potter marrying a woman is significant for many reasons. It shows he is settling down and will no longer live recklessly. Because his wife is from the city, it shows how she is going to tame him, the way urban influence "tamed" the wild west.
The bride replaces Scratchy Wilson in Jack's life. While he and Scratchy used to be nemeses, now Jack tells Scratchy the game is up and that they will have to behave themselves from then forward. Jack is leaving behind the charming lawlessness of the wild west and looking forward to the more ordered, but certainly less colorful, future.
One reason the typical western hero is rarely married is that it is a dangerous job. The west was a lawless place. Thus, it was not the kind of place a man would settle to begin a family. Also, what woman would settle down with a man who risks being murdered every single day?
Because the west is often depicted as having been lawless and wild, it is ironic that Potter would choose to get married. Here is where his marriage ties into the theme of domestication. Here is a man who has devoted his life to trying to instill order and law in Yellow Sky, which outside of a few run-ons with Scratchy, seems to be a pretty peaceful place to live. However, by taking a wife, Potter is bringing even more order and domestication onto himself. His wife comes from a much larger city with different customs and expectations. So Potter will likely find himself trying to not only instill law and order on the town but on his own life as well.
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